STRONG RUNGE- KUTTA METHODS WUTH ORDER ONE FOR NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper order conditions for coefficients of a new class of stochastic Runge-Kutta (SRK) methods with strong global 1, which applied for solving Ito stochastic differential equations (SDEs) with a single noise process are presented. In particular explicit two-stage and three-stage SRK methods of this class with minimum principal error constants are constructed. Nurmerical results with tow test problems of our methods and Ito method and Milstein method will be compared.

کلیدواژه ها:

Stochastic differential equations ، Strong approximation ، Runge-Kutta methods